Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3157
Annualized Std Dev 0.4652
Annualized Sharpe (Rf=0%) -0.6786

Row

Daily Return Statistics

Close
Observations 3644.0000
NAs 1.0000
Minimum -0.2546
Quartile 1 -0.0146
Median -0.0021
Arithmetic Mean -0.0011
Geometric Mean -0.0015
Quartile 3 0.0110
Maximum 0.2434
SE Mean 0.0005
LCL Mean (0.95) -0.0020
UCL Mean (0.95) -0.0001
Variance 0.0009
Stdev 0.0293
Skewness 0.2409
Kurtosis 10.3027

Downside Risk

Close
Semi Deviation 0.0201
Gain Deviation 0.0236
Loss Deviation 0.0209
Downside Deviation (MAR=210%) 0.0252
Downside Deviation (Rf=0%) 0.0206
Downside Deviation (0%) 0.0206
Maximum Drawdown 0.9981
Historical VaR (95%) -0.0409
Historical ES (95%) -0.0678
Modified VaR (95%) -0.0411
Modified ES (95%) -0.0411
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-15 NA -0.9981 3050 3045 NA
2006-07-24 2008-06-05 2008-10-06 -0.3980 556 471 85
2008-10-28 2008-11-04 2008-11-19 -0.3409 17 6 11
2008-10-13 2008-10-13 2008-10-23 -0.2129 9 1 8
2006-07-19 2006-07-19 2006-07-21 -0.0458 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA 1.7 -0.9 1.2 2.6 0.7 1.7 7.2
2007 -2.3 1.1 -0.6 -0.8 -1 0 -1.2 -2.7 -2.5 4.8 -2 1.5 -5.9
2008 -5.6 4.2 -7 -2.2 -1.4 0.1 0.7 1.9 2.2 -6.2 20.7 -4.2 0.4
2009 5.5 1.1 -2.6 0.4 -6.7 -2 0.1 4.5 6 5.6 -2.9 2.7 11.4
2010 -2.9 -3.4 -1.8 3.9 5.3 1.2 -0.3 -6.6 -0.4 0.1 -4.3 1.1 -8.4
2011 -3.1 3.3 -1.4 -0.4 4.9 -3.4 1.7 3.2 5.8 6.5 1.2 0.5 19.8
2012 -4 -1.7 0.1 -1 6.4 -5.7 1.8 -1.1 0.9 -4.8 0 -3.4 -12.5
2013 -1.7 0.3 2.2 3.4 1.6 -2.4 -4.5 3 -2.6 -0.1 0.8 -0.7 -1
2014 0.3 -0.3 -1.8 -0.5 0.3 -1.6 0.4 -1 2.7 -2.4 2.5 2 0.5
2015 2.9 0.6 0.8 -1.8 -0.3 -0.9 -0.3 5.7 0.5 0.2 -1.6 2 7.9
2016 0.3 -3.8 -1 1.4 -0.7 -0.4 0.8 -0.1 -2.5 2.1 0.7 1.4 -1.8
2017 -1.2 -3.2 0 -0.4 -0.3 0 -0.1 -0.9 -1.9 -0.2 1.1 0.5 -6.4
2018 0.3 -0.8 0.1 1.6 -0.6 -0.5 0.6 -0.4 2 -4.3 -1.4 -1.8 -5.2
2019 -0.5 -1.4 -2.8 2.2 2.1 -0.6 3.7 -0.5 3.7 -3 2 -0.4 4.2
2020 3.8 4.5 11.6 7.3 -1.9 1.2 1.7 -1.5 -2.6 1.7 -2.5 -0.5 24
2021 -4.4 -5 -0.3 NA NA NA NA NA NA NA NA NA -9.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-07-13 2375. SPY    124  -0.0163 -0.027     0.0118  -0.0379   0.0128    0.231   0.0416 GLD    65.6  0.0097   0.0401
2 2006-07-14 2421. SPY    124. -0.0039 -0.0244    0.0002  -0.0403   0.005     0.229   0.0319 GLD    65.8  0.0046   0.0514
3 2006-07-17 2442. SPY    123. -0.0015 -0.0277   -0.022   -0.0413   0.0041    0.234   0.043  GLD    64.0 -0.0289   0.0311
4 2006-07-18 2447. SPY    124.  0.0051 -0.027    -0.0055  -0.0515   0.0132    0.259   0.0472 GLD    62.9 -0.0164  -0.0143
5 2006-07-19 2335. SPY    126.  0.0139 -0.00290   0.0163  -0.0402   0.0217    0.263   0.0371 GLD    64.0  0.018   -0.0137
6 2006-07-20 2432. SPY    125. -0.0068  0.0067    0.006   -0.048    0.0113    0.270   0.0212 GLD    62.5 -0.0233  -0.0459
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart